The focus of the review is on the behavioral and physiological manifestations of stress versus depression. The purpose of the review is to evaluate the conceptual approach of using stress models as surrogates for depression. Social stress and depression have many characteristics in common and promote each other. Both have adverse effects on social relationships and the quality of life, and increase risk of other diseases. However, they are not the same constructs. In human and nonhuman primates, the behavior and neurobiology of stressed individuals differ from that of depressed individuals. Some similarities in stress physiology in socially stressed and depressed individuals have been used to support the use of stressed animals as models of depression, and much has been learned from stress models of depression. However, the studies reviewed here also suggest that the depressed state also has different characteristics than the stressed state, and studying the differences may be important to furthering our understanding of each of these constructs as well as their mutual relationship.